Strategic asset allocation with liabilities: beyond stocks and bonds

DOI10.1016/j.jedc.2007.11.003zbMath1181.91097MaRDI QIDQ844772

Tom B. M. Steenkamp, Peter C. Schotman, Roderick D. J. Molenaar, Roy P. M. M. Hoevenaars

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/5b697aa0-725d-455e-9332-2af9ac83b3a5

zbMATH Keywords

asset-liability management; portfolio choice; pension funds; strategic asset allocation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

Related Items

Dynamic asset–liability management in a Markov market with stochastic cash flows, Optimal investment strategy for asset-liability management under the Heston model, Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework, Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints, Valuation of intergenerational transfers in funded collective pension schemes, Optimal dynamic asset-liability management with stochastic interest rates and inflation risks, Spectral decomposition of optimal asset-liability management

Cites Work

• Predictable returns and asset allocation: should a skeptical investor time the market?
• Strategic asset allocation in a continuous-time VAR model
• Strategic asset allocation
• Predicting the Equity Premium with Dividend Ratios
• On optimal portfolio choice under stochastic interest rates